Analysis of Selected Seasonality Effects in the Following Metal Markets: Gold, Silver, Platinum, Palladium and Copper
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Published:
Jul 29, 2019
Keywords:
Market Efficiency, Metal Markets, Calendar Anomalies
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Abstract
The commodity market has been becoming one of the most popular segments of the financial markets among individual and institutional investors in recent years. Similarly to the eąuity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, especially in the segment of the precious metals. This paper tests the hypothesis of monthly, the day-of-the week and weekend effects of the precious metal markets ąuoted on the London Metal Exchange for gold, silver, platinum and copper in the period of 1.01.1995-31.12.2015 considering also palladium in the period 1.01.1998-31.12.2015. Calculations presented in this paper indicate the absence of the monthly effect on gold, silver, platinum, copper markets but proved occurrence of monthly anomaly in the month of September on palladium market. In the analyzed period day- of-the week effect for any of the studied metal markets was not observed but the weekend effect was registered on the gold and copper markets.
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Borowski, K., & Łukasik, M. (2019). Analysis of Selected Seasonality Effects in the Following Metal Markets: Gold, Silver, Platinum, Palladium and Copper. Journal of Management and Financial Sciences, (27), 59–86. https://doi.org/10.33119/JMFS.2017.27.4
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References
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48. Rozeff M., Kinney W., Capital Market Seasonality: The Case of Stock Retnrns, “Journal of Financial Economics” 1976, vol. 3.
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50. Simson E., Stock Market Anomalies, Cambridge University Press, Cambridge 1988.
51. Smith G., Tests ofthe Random Walk Hypothesis for London Gold Process, “Applied Econometrics Letters” 2002, vol. 9.
52. Solnik B., Bosąuet L., Day-of-the-Week Effect on the Paris Bonrse, “Journal of Banking and Finance” 1990, vol. 14.
53. Solton M., Swanson P, On the Efficiency ofthe Markets ofGold and Silver, “Journal of Business” 1981, vol. 54.
54. Sutheebanjard P, Premchaiswadi W., Analysis of Calendar Effects: Day-of-the- Week Effect on the Stock Exchange of Thailand (SET), “International Journal of Trade, Economics and Finance” 2010, vol. 1.
55. Szyszka A., Wycena papierów wartościowych na rynku kapitałowym w świetle finansów behawioralnych, Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznan 2007.
56. The Handbook of Commodity Investing, eds. F. Fabozzi, R. Fiiss, D. Keiser, John Wiley&Sons, Hoboken, New Jersey 2008.
57. Theobald M., Price V., Seasonality Estimation in Thin Markets, “Journal of Finance” 1984, vol. 39.
58. Tschoegl A., Efficiency in the Gold Market - A Notę, “Journal of Banking and Finance” 1980, vol. 4.
59. Tully E., Lucey B., Seasonality, Risk and Return in Daily COMEX Gold and Silver Data 1982-2002, IIIS Discussion Paper no. 57, Institute for International Integration Studies, Dublin 2003.
2. Agrawal A., Tandon K., Anomalies or Illnsions?: Evidencefrom Stock Markets in Eigh- teen Countries, “Journal of International Money and Finance” 1994, vol. 13.
3. Ariel R., A Monthly Effect in Stock Returns, “Journal of Financial Economics” 1987, vol. 17.
4. Ariel R., High Stock Returns Before Holidays: Existence and Evidence on Possible Causes, “Journal Finance” 1990, vol. 45.
5. Bali C., Torous W., Tschoegl A., Gold and the Weekend Effect, “Journal of Futures Markets” 1983, vol. 2.
6. Barone E., The Italian Stock Market: Efficiency and Calendar Anomalies, “Journal of Banking and Finance” 1990, vol. 14.
7. Bernsten J., Cycles of Profit, Harpercolins, New York 1991.
8. Board J., Sutcliffe C., The Weekend Effect in UK Stock Market Returns, “Journal of Busienss, Finance &Accounting” 1988, vol. 15, no. 2.
9. Buczek S., Efektywność informacyjna rynków akcji. Teoria a rzeczywistość, Warsaw School of Economics Publishing House, Warsaw 2005.
10. Cadsby C., Ratner M., Turn-of-Month and Pre-holiday Effects on Stock Returns: Some International Evidence, “Journal of Banking and Finance” 1992, vol. 16.
11. Chamberlain T., Cheun S., Kwan C., Day of the Week Patterns in Fntnres Prices: Some Further Results, “Quarterly Journal of Business and Economics” 1988, vol. 29.
12. Chang E., Kim C., Day ofthe Week Effects and Commodity Price Changes, “Journal of Futures Markets” 1988, vol. 4.
13. Condoyanni L., 0’Hanlon J., Ward C., Day of the Week Effects on Stock Returns: International Evidence, “Journal of Business Finance and Accounting” 1987, vol. 14.
14. Connolly R., A Posterior Odds Analysis of the Weekend Effect, “Journal of Econo- metrics” 1991, vol. 49.
15. Corhay A., Hawawini G., Michel R, Stock Market Anomalies, Cambridge University Press, Cambridge 1988.
16. Coutts J., Elayes P, The Weekend Effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index 1987-1994, “Applied Financial Economics”
1999, vol. 9.
17. Coutts ]., Sheikh M., The January Effect and Monthly Seasonality in the Ali Gold Index on the Johannesburg Stock Exchange 1987-1997, “Applied Economics Letters”
2000, vol. 7.
18. Cross F., The Behavior of Stock Prices and Fridays and Mondays, “Financial Analyst Journal” 1973, vol. 29.
19. Dubois M., Louvet P., The Day-of-the-week Effect: The International Evidence, “Journal of Banking and Finance” 1996, vol. 20.
20. Fama E., Efficient Capital Markets; A Review oflheory and Empirical Work, “Journal of Finance” 1970, vol. 25.
21. French K., Stock Returns and Weekend Effect, “Journal of Financial Economics” 1980, vol. 8.
22. Fields M., Security Prices and Stock Exchange Holidays in Relation to Short Selling, “Journal of Business” 1934, vol. 7.
23. Froot K., Thaler R., Anomalies: Foreign Exchange, “Journal of Economic Perspec- tives” 1990, vol. 4.
24. Górska A., Krawiec M., Badania efektywności informacyjnej w formie słabiej na rynku metali szlachetnych, “Zeszyty Naukowe Uniwersytetu Szczecińskiego” 2013, vol. 768.
25. Gu A., The Declining January Effect: Evidence front U.S. Eąuity Markets, “Quarterly Review of Economics and Finance” 2003, vol. 43.
26. Hirsch Y., Dońt Sell Stock on Monday, Penguin Books, New York 1987.
27. Jaffe Westerfield R., The Week-end Effect in Common Stoch Returns: The International Evidence, “Journal of Finance” 1985, vol. 40.
28. Jaffe J., Westerfield R., Ma C., A Twist on Monday Effect in Stock Prices: Evidencefrom the US and Foreign Stock Markets, “Journal of Banking and Finance” 1989, vol. 15.
29. Johnston E., Kracaw W., Day ofthe Week Effects in Financial Futures: An Analysis of GNMA, T-bond, T-note and T-bill Contracts, “Journal of Financial and Quantitative Analysis” 1991, vol. 26.
30. Johnson R., Soenen L., Gold as an Imestment Asset - Perspectives from Different Countries, “Journal of Investing” 1997, vol. 6.
31. Kato K., Schwarz S., Ziemba W., Day ofthe Weekend Effects in Japanese Stocks, “Japanese Capital Markets”, Ballinger, New York 1990.
32. Keim D., Size-related Anomalies and Stock Return Seasonality: Further Empirical Evidence, “Journal of Financial Economics” 1983, vol. 12.
33. Kelly F., Why You Win or Fosę: The Psychology of Speculation, Houghton Mifflin, Boston 1930.
34. Kim C., Park J., Holiday Effects and Stock Returns: Further Evidence, “Journal of Financial and Quantitative Analysis” 1994, vol. 29.
35. Kramer W., Stochastic Properties of German Stock Returns, “Empirical Economics” 1996, vol. 21.
36. Lakonishok J., Maberly E., The Weekend Effect: Trading Patterns of Individual and Institutional Imestors, “Journal of Finance” 1990, vol. 45.
37. Lakonishok J., LeviM., Weekend Effect on Stock Returns: A Notę, “Journal of Finance” 1982, no. 37.
38. Lakonishok Shmidt S., Are Seasonal Anomalies Real. A Ninety-Year Perspective, “Review of Financial Studies” 1988, vol. 1.
39. Latif M., Arshad S., Fatima M., Rarooq S., Market Effciency, Market Anomalies, Causes, Evidences and Some Behavioral Aspects of Market Anomalies, “Research Journal of Finance and Accounting” 2011, vol. 2, no. 9/10.
40. Lucey B., Daily Seasonality in LME Base Metal Returns 1989-2002: A Robust Analysis, 2003, Available at SSRN: http://dx.doi.org/10.2139/ssrn.368301
41. Ma C., A Further Imestigation of the Day-of-the-Week Effect in the Gold Market, “Journal of Futures Markets” 1986, vol. 6.
42. MacDonald R., Taylor M., Metal Prices, Effciency and Cointegrations: Some Evidence from the LME, “Bulletin of Economic Research” 1988, vol. 40.
43. Mayo H., Wstęp do inwestowania, Wydawnictwo K.E. Liber, Warsaw 1997.
44. Mills T., Coutts Calendar Effects in the London Stock Exchange FTSE Indices, “European Journal of Finance” 1995, vol. 1.
45. Osińska M., Ekonometria finansowa, PWE, Warsaw 2006.
46. Otto S., A Speculative Efficiency Analysis ofthe London Metal Exchange in a Multi- Contract Framework, “International Journal of Economics and Finance” 2011, vol. 3.
47. Peiro E., Daily Seasonality in Stock Returns: Further International Evidence, “Economics Letters” 1994, vol. 45.
48. Rozeff M., Kinney W., Capital Market Seasonality: The Case of Stock Retnrns, “Journal of Financial Economics” 1976, vol. 3.
49. Schwert W., Anomalies and Market Efficiency, Simon School of Business Working Paper no. FR 02-13, 2002.
50. Simson E., Stock Market Anomalies, Cambridge University Press, Cambridge 1988.
51. Smith G., Tests ofthe Random Walk Hypothesis for London Gold Process, “Applied Econometrics Letters” 2002, vol. 9.
52. Solnik B., Bosąuet L., Day-of-the-Week Effect on the Paris Bonrse, “Journal of Banking and Finance” 1990, vol. 14.
53. Solton M., Swanson P, On the Efficiency ofthe Markets ofGold and Silver, “Journal of Business” 1981, vol. 54.
54. Sutheebanjard P, Premchaiswadi W., Analysis of Calendar Effects: Day-of-the- Week Effect on the Stock Exchange of Thailand (SET), “International Journal of Trade, Economics and Finance” 2010, vol. 1.
55. Szyszka A., Wycena papierów wartościowych na rynku kapitałowym w świetle finansów behawioralnych, Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznan 2007.
56. The Handbook of Commodity Investing, eds. F. Fabozzi, R. Fiiss, D. Keiser, John Wiley&Sons, Hoboken, New Jersey 2008.
57. Theobald M., Price V., Seasonality Estimation in Thin Markets, “Journal of Finance” 1984, vol. 39.
58. Tschoegl A., Efficiency in the Gold Market - A Notę, “Journal of Banking and Finance” 1980, vol. 4.
59. Tully E., Lucey B., Seasonality, Risk and Return in Daily COMEX Gold and Silver Data 1982-2002, IIIS Discussion Paper no. 57, Institute for International Integration Studies, Dublin 2003.